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The Valuation of Complex Derivatives by Major Investment Firms: Empirical Evidence

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  • Bernardo, Antonio E
  • Cornell, Bradford
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    Abstract

    This article examines the auction of a portfolio of collateralized mortgage obligations to major broker dealers and institutional investors. The unique data set allows the authors to analyze a number of important empirical questions related to the valuation of collateralized mortgage obligations by the bidders and the elasticity of demand for the securities. The results reveal that the valuations differ substantially, implying a significant elasticity of demand. Copyright 1997 by American Finance Association.

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    Bibliographic Info

    Article provided by American Finance Association in its journal Journal of Finance.

    Volume (Year): 52 (1997)
    Issue (Month): 2 (June)
    Pages: 785-98

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    Handle: RePEc:bla:jfinan:v:52:y:1997:i:2:p:785-98

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    Cited by:
    1. Chen, An-Sing & Liaw, Gwohorng & Leung, Mark T., 2003. "Stock auction bidding behavior and information asymmetries: An empirical analysis using the discriminatory auction model framework," Journal of Banking & Finance, Elsevier, vol. 27(5), pages 867-889, May.
    2. René M. Stulz, 2004. "Should We Fear Derivatives?," Journal of Economic Perspectives, American Economic Association, vol. 18(3), pages 173-192, Summer.
    3. Brent Ambrose & Michael LaCour-Little & Anthony Sanders, 2005. "Does Regulatory Capital Arbitrage, Reputation, or Asymmetric Information Drive Securitization?," Journal of Financial Services Research, Springer, vol. 28(1), pages 113-133, October.
    4. Ulrike Malmendier & Young Han Lee, 2011. "The Bidder's Curse," American Economic Review, American Economic Association, vol. 101(2), pages 749-87, April.
    5. repec:hal:journl:halshs-00605908 is not listed on IDEAS
    6. Michael S. Gibson, 1997. "Information systems for risk management," International Finance Discussion Papers 585, Board of Governors of the Federal Reserve System (U.S.).
    7. Gunther Capelle-Blancard, 2010. "Are derivatives dangerous?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00605908, HAL.

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